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(1) Background--Common prosperity is the essential requirement of socialism with Chinese characteristics. To achieve common prosperity in the key state-owned forest areas is the goal of all forestry workers and their families. How to improve the livelihood of forestry workers' families and resolve multidimensional poverty has become a hot issue in the research field of forestry economics for many years. Optimizing the household assets allocation and rationally arranging the current consumption, savings and the proportion of investment is a family financial behavior aiming to realize the appreciation and utility maximization of the household assets of the forestry workers in the whole life cycle, and an effective way to increase the family income of the forestry workers and promote the common prosperity in the forest areas. (2) Methods--Using the methods of literature research, quantitative research and qualitative research, this paper firstly analyzes the logical mechanism of household assets allocation optimization enabling the key state-owned forest areas to achieve common prosperity from two aspects of theoretical logic and practical logic, and then discusses the behavioral characteristics and realistic challenges of household assets allocation of the forestry workers. Finally, this paper puts forward the path selection of the key state-owned forest areas to achieve common prosperity by optimizing the household assets allocation of the forestry workers. (3) Results--The optimization of household assets allocation enables the key state-owned forest areas to achieve common prosperity, which is reasonable in theory and feasible in practice. The household assets allocation behavior of the forestry workers in the key state-owned forest areas has the following characteristics: First, the household assets allocation structure is single, and the proportion of real estate is high. Second, there is a strong propensity to saving and less participation in risky investments. Third, the participation rate of production and operational investment is low, and the overall trend is declining year by year. The household assets allocation optimization of the forestry workers in the key state-owned forest areas faces the following practical challenges: First, the aging trend of the forestry workers is obvious, their education level is generally not high, and they generally lack basic knowledge of finance and awareness of assets allocation. Second, the livelihood vulnerability of the forestry workers' families has not been completely eliminated, and the household assets allocation options are limited. (4) Conclusions and Discussions--Based on the above analysis, this paper proposes the path selection of household assets allocation optimization enabling the key state-owned forest areas to achieve common prosperity: First, guide the forestry workers' families to change the concept of assets allocation and enhance family financial awareness. Second, encourage and support the forestry workers to carry out undergrowth economy entrepreneurship. Provide entrepreneurship guidance, skills training, policy support and market development to encourage innovation in the undergrowth economy and the application of modern agricultural technologies. Third, establish a market mechanism for realizing the value of forest ecological products to provide more investment choices for the forestry workers' families. [ABSTRACT FROM AUTHOR]

From the dual perspective of the DC pension plan members and the man- ager, we investigate the asset allocation of a DC pension plan under a VaR-PI constraint by maximizing a weighted utility of the two parties. Assuming that the DC pension plan members and the manager are loss averse and we use two S-shaped utility functions to demonstrate the loss aversion behavior. The VaR constraint and a weighed utility lead to a complex, nonconcave utility maximization problem. We apply the Lagrange duality theory and the concavification technique to derive the optimal wealth and the optimal portfolio processes. Numerical results show that the manager shall take a much riskier portfolio strategy when the benefits of the DC pension plan members are paid much more attention. The VaR constraint can improve the risk management of the DC pension plan. Keywords VaR constraint, DC pension plan, loss aversion, weighted utility Chinese Library Classification F832.48, F840.62 [ABSTRACT FROM AUTHOR]

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From the dual perspective of the insured and the investment institutions, this paper studies the impact of minimum return guarantee system and investment management fee system on the optimal asset allocation of pension funds. We assume that the insured entrust the pension fund to the investment institutions for operation and management. The optimization goal of the insured and the investment institution is to maximize the expected utility of their wealth at the end of the investment period respectively. Under the framework of random interest rate, the solution of pension fund investment strategies under different models is obtained by stochastic dynamic programming. Research shows that:the minimum return guarantee system and profit sharing mechanism can both reduce the proportion of the risk assets, improve the insured's expected utility. If the minimum return guarantee is higher or the profit sharing rate is lower, the proportion of the risk assets will be lower. The insured can set different investment management rates for investment institutions with different risk preferences to ensure that the investment institutions can simultaneously maximize the expected utility of the insured. [ABSTRACT FROM AUTHOR]

For the problem of the quantification of investor views in the Black-Litterman model, this paper proposes to use gradient boosting regression tree (GBRT) algorithm to predict the returns, regarding the predictive values as view returns and take the mean square errors when the algorithm converges iteratively as the view errors. The data of Shanghai 380 industry index are used to test the validity and rationality of the parameter optimization method proposed in this paper. Results show that the investment performance of Black-Litterman model combined with GBRT algorithm outperforms the market strategy and Markowitz model. [ABSTRACT FROM AUTHOR]

The effect of asset growth poses a challenge for the efficient market hypothesis, which has drawn the attention of financial circles in recent years. Scholars have proposed a variety of empirical measures of asset growth that either only cover parts of asset growth or roughly examine the total asset growth without eliminating the noisy components, which leads to some limitations in the conclusions about the previous research. Based on this, the paper aims to put forward the operating assets growth for measuring the asset changes of listed companies by eliminating noisy asset components and incorporating more asset components negatively correlated to future stock returns into the construction of measures. Also, with the sample of non-financial listed companies in A stock market during the period of 1994 to 2012, the paper gives an empirical analysis of the relationship between the various asset growth measures and the stock returns by sorting, Fama-MacBeth cross-section regression, time series regression and nonoverlap hedge strategy. It shows in the study that the operating asset growth, the standard measure of asset growth, can serve as a comprehensive measure of the asset changes of listed companies and give a full reflection of the asset growth effect in stock market; the hedging portfolio from this measure can ensure the biggest return and offer a more precise criteria for investment decisions. [ABSTRACT FROM AUTHOR]

We investigate the problem of dynamic optimal capital growth of a portfolio under transaction costs constrained. A general framework that one strives to maximize the long term growth rate of its expected log utility was developed. However, when applying to portfolio management with many assets, optimization algorithms such as quadratic programming run into difficulties. In our research, we get the fraction for a portfolio in continuous time by combining law of large numbers and the additivity of the logarithm utility functions. Empirical research indicate that the approach is inspiring for this class of problems. [ABSTRACT FROM AUTHOR]

Using the newly released data by the research team of China's Urban Household Consumer Finance, this paper explores the effect of health on Chinese urban household financial asset allocation. It has been found that such variables as health status, economy and demography may exert varied effects on the different types of urban household financial assets. Health deterioration tends to reduce the financial assets, especially the risk assets, which are held by urban households. The proportion of risk assets held in the east is higher compared to the central and western regions. A household in good condition has a 2%~3% higher probability of holding risk assets than the one in poor health. The effect of economy on financial asset holding is fundamental. [ABSTRACT FROM AUTHOR]

This paper proposes an international commodity assets industry allocation model under Black-Litterman framework, which taking consideration of information spillover effect originated from exogenous financial markets on to commodities markets and long-term memory characteristics of commodities. Empirical experiments on daily data of DJ-UBS commodity sub-indices show that the proposed industrial allocation strategy provides a systematic and robust way to achieve the optimal trade-off between profitability and risk-aversion, and the realized returns are better than traditional strategies based on market equilibrium weights or the Markowitz framework. It demonstrates that this model provides a great support and experience for active management of international commodity investment with comprehensive consideration of safety, liquidity and profitability, therefore to guarantee international reserves and national economy security. [ABSTRACT FROM AUTHOR]

In the traditional investment mode of government bonds-banks, the pension fund's return rate has generally been low. However, the National Social Security Fund (NSSF) has been actively involved in the capital market with spectacular success. The individual account fund (IAF) with the property of capital has a prerequisite of investment and operation, and the NSSF has set up a model for IAF's asset allocation, entrusted investment and diversified investment. Based on the successful experience of the NSSF, the IAF's investment path should conclude the transitional, mid-term and long-term periods, its investment objective should shift from safety to profitability, its investment channel should be expanded from the bond market to the stock market, and the investment agency should be transformed from the council into the IAF's investment company. [ABSTRACT FROM AUTHOR]

This paper constructs a model for measuring the asset allocation structure of China's open-end funds. Based on this model, an empirical analysis within Kalman filter framework is conducted on the investment performance of 54 open-end funds within the recent 5 years. Results show the model that is characterized by time varying state parameters can well capture the real asset allocation strategies of these funds. We further extend our model to measure the dynamic asset allocation ability of the open-end funds. Empirical results show that our method outperforms the traditional Treynor-Mazuy model in evaluating the investment performance of funds open-end funds, and that open-end funds on the whole shows the strong ability in asset allocation, and that their long-run investment performance can mainly be attributed to their efforts on asset allocation. [ABSTRACT FROM AUTHOR]

This paper developed a stochastic framework that helps to quantify a country's optimal level of foreign exchange reserves and sovereign wealth funds under external shocks to balance of payments and does the scenario analysis employing China's data. We found that lower opportunity cost of foreign exchange reserves will raise the demand for foreign exchange reserves, while greater liquidation cost of sovereign wealth funds will decrease the amount added to sovereign wealth funds. The current level of China's foreign reserves is higher than the optimal level, some of which should be added to sovereign wealth funds to obtain more earnings and wealth. The specific management strategies are put forward in the paper. Scenario analysis indicates the strategies make the total cost consisting of opportunity and liquidation cost of holding foreign reserves reduce significantly. [ABSTRACT FROM AUTHOR]

The asset allocation strategies don't take into account correlation risks in classical finance theories, but the correlation of markets and assets change all the time in nature, which raise the risks of portfolio. Unlike portfolio choice of traditional finance theories keeping a complete market setup, we reproduce the asymmetric tail dependence of capital market with symmetric Joe-Clayton Copula and solve the portfolio efficient frontiers and strategies when correlation risks exist with CVaR technique. Through the empirical study in Shanghai and Hong Kong market, we discover that ignoring upper tail or lower tail dependence will affect investors to estimate the risks of portfolio, and will make the portfolio suffer extreme negative returns; quantify and control the tail dependence will improve the performance of portfolio. [ABSTRACT FROM AUTHOR]

Based on the investor sentiment theory, built a market-level sentiment index to measure the investor sentiment, and combined with the allocation mechanisms in the primary market to investigate the initial return of the IPO firms listed between 2000 and 2008. The empirical evidences support the hypothesis that the investor sentiment in the secondary market is positively related to the IPO initial returns, and the IPO initial returns under the book-building allocation mechanism are lower than that under the other allocation mechanisms. The further investigation finds that, relative to the other allocation mechanisms, the book-building allocation mechanisms can significantly lower the impact of the investor sentiment on the IPO initial returns, and make the IPO initial returns more stable. [ABSTRACT FROM AUTHOR]